Third-party Cookies are not created by the website being visited, but other domain. Let’s imagine a visitor is browsing forbes.com which has a YouTube video on one of its pages. In this case, YouTube will set a cookie which is then saved on a visitor’s computer. This cookie is classified as a third-party cookie, because it’s created by a different domain than forbes.com.
Third-party cookies are the fuel of online advertising. As advertisers add their tags to a page they can display ads, as well as track users and devices across the different sites they visit.
Find more details on third-party cookies on the Piwik PRO blog: